public SignalFXMole(MarketData fx, IndicatorRSI rsi, ModelMacD macD, IndicatorRSI[] rsiRefs, decimal volCoeff)
: base("FXMole_" + rsi.PeriodSizeMn + "_" + rsi.NbPeriods + "_" + fx.Id, fx)
{
_startThreshold = 2m;
_timeFrameMn = 90;
_timeFramePeakMn = 75;
_timeFrameBottomMn = 30;
_timeFrameStopLossMn = 30;
_timeFrameRsiLongMn = 5;
_rsiBuyThreshold = 30m;
_rsiSellThreshold = 70m;
_minVol = 15m * volCoeff;
_maxVol = 30m * volCoeff;
_maxLongVol = 50m * volCoeff;
_maxTotalVol = 100m * volCoeff;
_rsi_loss_reset = true;
_emaVeryShort = macD.SignalLow.IndicatorLow;
_emaShort = macD.SignalHigh.IndicatorLow;
_emaLong = macD.SignalHigh.IndicatorHigh;
_rsiRefs = rsiRefs;
_nominalVol = 10m * volCoeff;
_highVol = 25m * volCoeff;
_maxSpread = volCoeff * 1.20m; // max +20% spread
_maxShortMacDSpread = 5m * volCoeff;
_maxLongMacDSpread = 10m * volCoeff;
_maxWmVol = 2m * volCoeff;
//_rsiLong = new IndicatorRSI(fx, rsi.PeriodSizeMn, rsi.NbPeriods * 2);
_trend = new IndicatorTrend(fx, rsi.PeriodSizeMn * 30, rsi.NbPeriods, false);
_wmvol = new IndicatorWMVol(fx, _emaVeryShort, 60, 90);
//_wmvolLong = new IndicatorWMVol(fx, _emaLong);
_volTrend = new IndicatorTrend(_wmvol, 30, 6, true);
//_volTrendAvg = new IndicatorEMA(_wmvol, _timeFrameMn);
_volTrendTrend = new IndicatorTrend(_volTrend, 30, 6, true);
//_volCurve = new IndicatorCurve(_volTrend);
for (int idxInterval = 0; idxInterval < _timeFrameStopLossMn; idxInterval++)
{
stopLossTimes.Add(new Interval(idxInterval, idxInterval + 1));
}
decimal prevStopLoss = _nominalVol;
for (int idxLin = 0; idxLin < _timeFrameStopLossMn; idxLin++)
{
decimal stopLoss = _nominalVol * (1m - (decimal)idxLin / _timeFrameStopLossMn);
stopLossValues.Add(new Interval(prevStopLoss, stopLoss));
stopWinValues.Add(new Interval(prevStopLoss, stopLoss));
prevStopLoss = stopLoss;
}
for (int idxLin = 0; idxLin <= _timeFrameStopLossMn; idxLin++)
{
bigStopLossValues.Add(new Interval(_highVol, _highVol));
}
_trend.Subscribe(OnUpdateTrend, null);
//_rsiLong.Subscribe(OnUpdateRsiLong, null);
_wmvol.Subscribe(OnUpdateWmVol, null);
//_wmvolLong.Subscribe(OnUpdateWmVolLong, null);
_mktIndicator.Add(rsi);
_signalCode = SIGNAL_CODE.HOLD;
}
public ModelANN(string annid, ModelMacD macD, List<MarketData> daxStocks, MarketData vix, List<MarketData> otherIndices)
{
_annId = annid;
_macD = macD;
_index = macD.Index;
_daxStocks = daxStocks;
_otherIndices = otherIndices;
_vix = vix;
if (_vix != null)
_mktIndices.Add(_vix);
}
public ModelFXMole(List <MarketData> fx, ModelMacD macD, decimal volCoeff)
{
_fx = fx;
_macD = macD;
_volCoeff = volCoeff;
_rsi = new IndicatorRSI(_fx[0], 3, 45);
_mapRsiRef = new IndicatorRSI[_fx.Count - 1];
for (int idxFX = 1; idxFX < _fx.Count; idxFX++)
{
_mapRsiRef[idxFX - 1] = new IndicatorRSI(_fx[idxFX], 1, 14);
}
}
public ModelANN(string annid, ModelMacD macD, List <MarketData> daxStocks, MarketData vix, List <MarketData> otherIndices)
{
_annId = annid;
_macD = macD;
_index = macD.Index;
_daxStocks = daxStocks;
_otherIndices = otherIndices;
_vix = vix;
if (_vix != null)
{
_mktIndices.Add(_vix);
}
}
public static void Run(List<DateTime> dates, bool generate = false, bool generate_from_db = false, bool publish_to_db = false, bool use_uat_db = false, bool fullday = false)
{
TestEngine testEngine = new TestEngine("heuristic", dates, generate, generate_from_db, publish_to_db, use_uat_db, fullday);
testEngine.Settings["TRADING_SIGNAL"] = "FXMole_1_14_CS.D.EURUSD.TODAY.IP,FXMole_1_14_CS.D.GBPUSD.TODAY.IP,FXMole_1_14_CS.D.USDJPY.TODAY.IP,FXMole_1_14_CS.D.AUDUSD.TODAY.IP";
testEngine.Settings["TIME_GMT"] = "-4";
testEngine.Settings["TIME_DECAY_FACTOR"] = "3";
testEngine.Settings["ASSUMPTION_TREND"] = "BEAR";
testEngine.Settings["INDEX_ICEDOW"] = "DOW:IceConnection.DJI";
testEngine.Settings["INDEX_DOW"] = "DOW:IX.D.DOW.DAILY.IP";
testEngine.Settings["INDEX_DAX"] = "DAX:IX.D.DAX.DAILY.IP";
testEngine.Settings["INDEX_CAC"] = "CAC:IX.D.CAC.DAILY.IP";
testEngine.Settings["FX_GBPUSD"] = "GBPUSD:CS.D.GBPUSD.TODAY.IP";
testEngine.Settings["FX_EURUSD"] = "EURUSD:CS.D.EURUSD.TODAY.IP";
testEngine.Settings["FX_USDJPY"] = "USDJPY:CS.D.USDJPY.TODAY.IP";
testEngine.Settings["FX_AUDUSD"] = "AUDUSD:CS.D.AUDUSD.TODAY.IP";
//List<string> rsiRefMappingJPYGBP = new List<string> { testEngine.Settings["FX_GBPEUR"], testEngine.Settings["FX_USDJPY"] };
//List<string> rsiRefMappingUSD = new List<string> { testEngine.Settings["FX_GBPUSD"], testEngine.Settings["FX_EURUSD"] };
//List<decimal> volcoeffsJPYGBP = new List<decimal> { 0.7m, 0.8m };
//List<decimal> volcoeffsUSD = new List<decimal> { 0.75m, 1.0m, 0.8m };
var index = IceStreamingMarketData.Instance;
var gbpusd = new MarketData(testEngine.Settings["FX_GBPUSD"]);
var eurusd = new MarketData(testEngine.Settings["FX_EURUSD"]);
var usdjpy = new MarketData(testEngine.Settings["FX_USDJPY"]);
var audusd = new MarketData(testEngine.Settings["FX_AUDUSD"]);
var models = new List<Model>();
var macD_10_30_90_gbpusd = new ModelMacD(gbpusd, 10, 30, 90);
var macD_10_30_90_eurusd = new ModelMacD(eurusd, 10, 30, 90);
var macD_10_30_90_usdjpy = new ModelMacD(usdjpy, 10, 30, 90);
var macD_10_30_90_audusd = new ModelMacD(audusd, 10, 30, 90);
decimal volcoeffEURUSD = 0.7m;
decimal volcoeffGBPUSD = 0.85m;
decimal volcoeffUSDJPY = 0.65m;
decimal volcoeffAUDUSD = 0.6m;
var fxmole_eurusd = new ModelFXMole(new List<MarketData> { eurusd, gbpusd }, macD_10_30_90_eurusd, volcoeffEURUSD);
var fxmole_gbpusd = new ModelFXMole(new List<MarketData> { gbpusd, eurusd }, macD_10_30_90_gbpusd, volcoeffGBPUSD);
var fxmole_usdjpy = new ModelFXMole(new List<MarketData> { usdjpy, eurusd }, macD_10_30_90_usdjpy, volcoeffUSDJPY);
var fxmole_audusd = new ModelFXMole(new List<MarketData> { audusd, eurusd }, macD_10_30_90_audusd, volcoeffAUDUSD);
models.Add(macD_10_30_90_gbpusd);
models.Add(macD_10_30_90_eurusd);
models.Add(macD_10_30_90_usdjpy);
models.Add(macD_10_30_90_audusd);
models.Add(fxmole_gbpusd);
models.Add(fxmole_eurusd);
models.Add(fxmole_usdjpy);
models.Add(fxmole_audusd);
testEngine.Run(models);
}
public ModelMoleTest(ModelMacD macD)
: base(macD)
{
}
public ModelMacDCascadeTest(ModelMacD macD)
: base(macD)
{
}
public ModelMacDCascadeTest(ModelMacD macD)
: base(macD)
{
}
public ModelMoleTest(ModelMacD macD)
: base(macD)
{
}
